Volume : VI, Issue : XII, December - 2017

On Investigation of Asymptotic Properties of Estimators Used in Estimation of Expected Shortfall of a Financial Portfolio Based on Exponential Smoothing Technique

J. C. Chelule

Abstract :

 Investigation of asymptotic properties of estimator(s) is important in any estimation procedure. This paper adopts a model according to Mwita (2003) to model Expected Shortfall of a financial portfolio. We propose, based on exponential smoothing technique, the estimators of the conditional mean, conditional volatility and Value–at–Risk. We then proceed to investigate their consistency under some specified conditions

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Article: Download PDF   DOI : 10.36106/ijsr  

Cite This Article:

J. C. Chelule, On Investigation of Asymptotic Properties of Estimators Used in Estimation of Expected Shortfall of a Financial Portfolio Based on Exponential Smoothing Technique, INTERNATIONAL JOURNAL OF SCIENTIFIC RESEARCH : Volume-6 | Issue-12 | December-2017

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